I don't know much about photography (yet!), but I do know a bit about SD cards (as I'm a software engineer). Here is some technical information to indicate why the Sony Memory Sticks will perform better than SD cards in the Nex.

The bus interface speed determines how fast the camera can talk to the card. The 'class 10' cards people here are referring to are going to support High Speed mode. Class 10 itself refers to a minimum speed of 14.6MB/s, but that could be (and usually is) the read speed rather than the more useful write speed. Also, knowing that it's class 10 doesn't help terribly as you can't compare class 10 cards on that alone as you don't know by how much they exceed 14.6MB/s.

An SD card might be capable of communicating with a faster bus interface than the camera or vice versa, but the lower of these is what is used (as devices are backwards compatible with the lower bus speeds). Hence a UHS-I card (capable of communicating at up to 50 or 104MB/s) will only connect at 25MB/s if the camera only supports the High Speed interface.

This is a separate issue to the speed of reading and writing to the flash chips on the card itself (which usually is slower than the maximum interface speed), but it determines the absolute maximum speed for reading and writing. Also while the interface may support X MB/s, the other internals of the camera may not result in it reading / writing at that maximum speed. I would imagine that the storage interface in the Nex is more optimised for memory sticks rather than SD cards as it is Sony's own format.

In the case of the Nex-5n I would expect it does not support UHS-I. John Bean in this earlier discussion http://forums.dpreview.com/forums/thread/3068763?page=2 said that Sony support told him that the Nex-5n only supports High Speed mode. This means that even if you have a UHS-I or UHS-II card it will never perform faster than 25MB/s. A UHS-I card may well perform /better/ than a class 10 card though as the UHS-I card is likely to have faster reads and writes to the internal flash chips, and so when operating in High Speed mode is more likely to get up to 25MB/s.

So in practice this means if you get a really good SD card (like the UHS-I card mentioned earlier in the thread) you could get 25MB/s reads and writes. How then does this compare with memory stick?

How fast are memory sticks?

The memory stick most referred to on the forum is the Memory Stick Pro HG Duo HX. That has a bus speed of 60MB/s (although Sony only state it to be 50 on their consumer facing pages), so that's the theoretical maximum speed. So theoretically a memory stick could be over twice as fast in the Nex as an SD card.

The actual speed of the Memory Stick Pro HG Duo HX is 40MB/s read 30MB/s write (see http://www.hjreggel.net/cardspeed/index_en.html ). So it is virtually guaranteed that the memory stick will outperform any SD card as the best an SD card could do would be 25MB/s (and performance is likely to be lower).

Conclusion

Here is a video I found in an earlier thread that does a side by side comparison of using an SD card and a memory stick. In the video the red light indicates that the camera is still writing (has not emptied its buffer) to the card/stick: http://www.youtube.com/watch?v=GkgNgXqYbqk

Does any of this matter? Perhaps not! The situation where it will really make a difference is continuous shooting mode with RAW, as that's when you're constantly writing to storage. In some threads people have claimed that in other circumstances it makes an every day difference while others have claimed that it makes no difference. I can't comment on that, all I can do is tell you that the Memory Stick Pro HG Duo HX will perform better in the camera than any SD card.

Whether it makes a practical difference in your usage that justifies the cost is something only you can answer In my case I didn't want to skimp at the end of a long process of buying an expensive (to me!) camera and set of lenses, so I got a Memory Stick Pro HG Duo HX.